Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

DOI10.1007/s10479-012-1142-1zbMath1269.91082OpenAlexW1999710902MaRDI QIDQ2393347

Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov

Publication date: 7 August 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10.1007/s10479-012-1142-1

zbMATH Keywords

stable distributionsvalue-at-riskconditional value-at-riskmarginal rebalancingstudent's \(t\) distribution

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Uses Software

• Dowd

Cites Work

• Fat tails, VaR and subadditivity
• Stochastic models for risk estimation in volatile markets: a survey
• Moment based approaches to Value the Risk of contingent claim portfolios
• Conditional value at risk and related linear programming models for portfolio optimization
• Coherent Measures of Risk
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